Click based trading with intuitive grid display of market depth and price consolidation

ABSTRACT

A method and system for reducing the time it takes for a trader to place a trade when electronically trading on an exchange, thus increasing the likelihood that the trader will have orders filled at desirable prices and quantities. The “Mercury” display and trading method of the present invention ensure fast and accurate execution of trades by displaying market depth on a vertical or horizontal plane, which fluctuates logically up or down, left or right across the plane as the market prices fluctuate. This allows the trader to trade quickly and efficiently. The price consolidation feature of the present invention, as described herein, enables a trader to consolidate a number of prices in order to condense the display. Such action allows a trader to view a greater range of prices and a greater number of orders in the market at any given time. By consolidating prices, and therefore orders, a trader reduces the risk of a favorable order scrolling from the screen prior to filling a bid or ask on that order at a favorable price.

[0001] This application claims the benefit of U.S. ProvisionalApplication No. 60/238,001, filed Oct. 6, 2000 and is acontinuation-in-part of U.S. application Ser. No. 09/590,692, filed Jun.9, 2000, which claims the benefit of U.S. Provisional Application No.60/186,322, filed Mar. 2, 2000.

BACKGROUND OF THE INVENTION

[0002] The present invention is directed to the electronic trading ofcommodities. Specifically, the invention provides a trader with aversatile and efficient tool for executing trades. It facilitates thedisplay of and the rapid placement of trade orders within the markettrading depth of a commodity, where a commodity includes anything thatcan be traded with quantities and/or prices.

[0003] At least 60 exchanges throughout the world utilize electronictrading in varying degrees to trade stocks, bonds, futures, options andother products. These electronic exchanges are based on threecomponents: mainframe computers (host), communications servers, and theexchange participants' computers (client). The host forms the electronicheart of the fully computerized electronic trading system. The system'soperations cover order-matching, maintaining order books and positions,price information, and managing and updating the database for the onlinetrading day as well as nightly batch runs. The host is also equippedwith external interfaces that maintain uninterrupted online contact toquote vendors and other price information systems.

[0004] Traders can link to the host through three types of structures:high speed data lines, high speed communications servers and theInternet. High speed data lines establish direct connections between theclient and the host. Another connection can be established byconfiguring high speed networks or communications servers at strategicaccess points worldwide in locations where traders physically arelocated. Data is transmitted in both directions between traders andexchanges via dedicated high speed communication lines. Most exchangeparticipants install two lines between the exchange and the client siteor between the communication server and the client site as a safetymeasure against potential failures. An exchange's internal computersystem is also often installed with backups as a redundant measure tosecure system availability. The third connection utilizes the Internet.Here, the exchange and the traders communicate back and forth throughhigh speed data lines, which are connected to the Internet. This allowstraders to be located anywhere they can establish a connection to theInternet.

[0005] Irrespective of the way in which a connection is established, theexchange participants' computers allow traders to participate in themarket. They use software that creates specialized interactive tradingscreens on the traders' desktops. The trading screens enable traders toenter and execute orders, obtain market quotes, and monitor positions.The range and quality of features available to traders on their screensvaries according to the specific software application being run. Theinstallation of open interfaces in the development of an exchange'selectronic strategy means users can choose, depending on their tradingstyle and internal requirements, the means by which they will access theexchange.

[0006] The world's stock, bond, futures and options exchanges havevolatile products with prices that move rapidly. To profit in thesemarkets, traders must be able to react quickly. A skilled trader withthe quickest software, the fastest communications, and the mostsophisticated analytics can significantly improve his own or his firm'sbottom line. The slightest speed advantage can generate significantreturns in a fast moving market. In today's securities markets, a traderlacking a technologically advanced interface is at a severe competitivedisadvantage.

[0007] Irrespective of what interface a trader uses to enter orders inthe market, each market supplies and requires the same information toand from every trader. The bids and asks in the market make up themarket data and everyone logged on to trade can receive this informationif the exchange provides it. Similarly, every exchange requires thatcertain information be included in each order. For example, traders mustsupply information like the name of the commodity, quantity,restrictions, price and multiple other variables. Without all of thisinformation, the market will not accept the order. This input and outputof information is the same for every trader.

[0008] With these variables being constant, a competitive speedadvantage must come from other aspects of the trading cycle. Whenanalyzing the time it takes to place a trade order for a givencommodity, various steps contribute in different amounts to the totaltime required. Approximately 8% of the total time it takes to enter anorder elapses between the moment the host generates the price for thecommodity and the moment the client receives the price. The time ittakes for the client application to display the price to the traderamounts to approximately 4%. The time it takes for a trade order to betransmitted to the host amounts to approximately 8%. The remainder ofthe total time it takes to place an order, approximately 80%, isattributable to the time required for the trader to read the pricesdisplayed and to enter a trade order. The present invention provides asignificant advantage during the slowest portion of the tradingcycle—while the trader manually enters his order. Traders recognize thatthe value of time savings in this portion may amount to millions ofdollars annually.

[0009] In existing systems, multiple elements of an order must beentered prior to an order being sent to market, which is time consumingfor the trader. Such elements include the commodity symbol, the desiredprice, the quantity and whether a buy or a sell order is desired. Themore time a trader takes entering an order, the more likely the price onwhich he wanted to bid or offer will change or not be available in themarket. The market is fluid as many traders are sending orders to themarket simultaneously. It fact, successful markets strive to have such ahigh volume of trading that any trader who wishes to enter an order willfind a match and have the order filled quickly, if not immediately. Insuch liquid markets, the prices of the commodities fluctuate rapidly. Ona trading screen, this results in rapid changes in the price andquantity fields within the market grid. If a trader intends to enter anorder at a particular price, but misses the price because the marketprices moved before he could enter the order, he may lose hundreds,thousands, even millions of dollars. The faster a trader can trade, theless likely it will be that he will miss his price and the more likelyhe will make money.

[0010] The “Mercury” display and trading method of the present inventionensure fast and accurate execution of trades by displaying market depthon a vertical or horizontal plane, which fluctuates logically up ordown, left or right across the plane as the market prices fluctuates,while the display of the corresponding prices remains static. Thisallows the trader to trade quickly and efficiently.

[0011] One advantage of the static price column is that traders are morelikely to enter orders at desired prices because the prices don't moveon the screen. However, the physical size of a trader's computer screenimposes a limitation on the static price column in that only a finitenumber of prices can be displayed within that screen area.

[0012] Exchanges list the prices of commodities traded in themarketplace in small denominations, like {fraction (1/32)}^(nd) or{fraction (1/64)}^(th) of a dollar, or in decimals like 0.01. Thesmallest such denomination for each commodity is called a “tick.” Thestatic price column of Mercury can display each tick in price rows thatmake up the static price column. As the ticks become smaller, more pricerows are required on the trader's computer screen to list all of them.For example, while only one field would be required to display a tick ofone dollar, if that dollar was broken down into 64^(th)'s, 64 price rowswould now be required to display the same one dollar price range. Assuch, much of the space on a trader's computer screen might bemonopolized to show activity in the marketplace within a small variancein price. Many traders find a small variance in price, like {fraction(1/64)}^(th) of a dollar, to be inconsequential. Those traders arewilling to give up a display of the actual ticks available in a marketin exchange for a wider range of prices. Similar display problems mayoccur when the market is volatile. In a volatile market, the differencebetween the best bid and the best ask (the spread) widens, and a widerspread results in a trader seeing less of the overall market on hiscomputer screen due to the space restrictions.

SUMMARY OF THE INVENTION

[0013] The inventors have developed the present invention whichovercomes the drawbacks of the existing trading systems and dramaticallyreduces the time it takes for a trader to place a trade whenelectronically trading on an exchange. This, in turn, increases thelikelihood that the trader will have orders filled at desirable pricesand quantities. The present invention consolidates the available ticksand the corresponding bid and ask quantities in the marketplace so thatthe trader sees a larger range of prices in the market. As a result ofthe consolidated price rows, the trader will also enter orders in aconsolidated fashion by clicking on active trading fields in the Mercurydisplay.

[0014] Specifically, the present invention is directed to a method ofdisplaying and a graphical user interface for displaying the marketdepth of a commodity traded in a market. Both the method and the userinterface include: dynamically displaying, in a bid display region, aplurality of consolidated bids for the commodity, each of the pluralityof consolidated bids representing a plurality of bid quantities in themarket for the commodity; dynamically displaying, in an ask displayregion, a plurality of consolidated asks for the commodity; each of saidplurality of consolidated asks representing a plurality of askquantities in the market for the commodity; and statically displayingconsolidated prices corresponding to the plurality of consolidated bidsand asks, each of the consolidated prices representing a plurality ofprices for the commodity, wherein the pluralities of consolidated bidsand asks are dynamically displayed in alignment with the consolidatedprices corresponding thereto.

[0015] Also described herein is a method and system for placing tradeorders using such displays. Specifically, the present invention includesa method and system of placing a trade order for a commodity, using agraphical user interface and a user input device and having presetparameters for trade orders. The method and system include: displayingthe market depth of a commodity traded in a market, through a dynamicdisplay, in a bid display region, of a plurality of consolidated bidsfor said commodity and, in an ask display region, of a plurality ofconsolidated asks for the commodity, aligned with a static display ofconsolidated prices corresponding thereto. The method and system alsoinclude initiating placement of a trade order of the commodity through asingle action of the user input device with a pointer of the user inputdevice positioned within at least one of the bid and ask displayregions, wherein each of said plurality of consolidated bids and asksrepresents a plurality of bid and asks quantities, respectively, in themarket for the commodity, wherein each of said consolidated pricesrepresents a plurality of prices for the commodity and wherein thecontents of the trade order are based in part upon the preset parametersand the position of the pointer at the time of the single action.

[0016] The inventors have developed the present invention, which buildsupon the Mercury display described in parent application, anddramatically reduces the problems associated with the display ofmultiple prices when such prices are listed in small ticks.

[0017] This new feature consolidates the display of price information onthe static price column of the Mercury electronic trading screen,thereby reducing the potential drawbacks associated with a fast movingmarketplace that trades in small denominations.

[0018] The price consolidation feature of the present invention, asdescribed herein, enables a trader to consolidate a number of prices inorder to condense the display. Such action allows a trader to view agreater range of prices and a greater number of orders in the market atany given time. By consolidating prices, and therefore orders, a traderreduces the risk of a favorable order scrolling from the screen prior tohis hitting a bid or ask on that order at its favorable price.

[0019] These embodiments, and others described in greater detail herein,provide the trader with improved efficiency and versatility in placing,and thus executing, trade orders for commodities in an electronicexchange. Other features and advantages of the present invention willbecome apparent to those skilled in the art from the following detaileddescription. It should be understood, however, that the detaileddescription and specific examples, while indicating preferredembodiments of the present invention, are given by way of illustrationand not limitation. Many changes and modifications within the scope ofthe present invention may be made without departing from the spiritthereof, and the invention includes all such modifications.

BRIEF DESCRIPTION OF THE DRAWINGS

[0020] The foregoing advantages and features of the invention willbecome apparent upon reference to the following detailed description andthe accompanying drawings, of which:

[0021]FIG. 1 illustrates the network connections between multipleexchanges and client sites;

[0022]FIG. 2 illustrates screen display showing the inside market andthe market depth of a given commodity being traded;

[0023]FIG. 3 illustrates the Mercury display of the present invention;

[0024]FIG. 4 illustrates the Mercury display at a later time showing themovement of values when compared to FIG. 3;

[0025]FIG. 5 illustrates a Mercury display with parameters set in orderto exemplify the Mercury trading method;

[0026]FIG. 6 is a flowchart illustrating the process for Mercury displayand trading;

[0027]FIGS. 7A and 7B show corresponding displays before and after priceconsolidation;

[0028]FIGS. 8A and 8B illustrate the consolidation of bid and askquantities;

[0029]FIG. 9 illustrates different areas of the display of the presentinvention wherein trade orders can be placed;

[0030]FIG. 10 illustrates a consolidated display with a trade order;

[0031] FIGS. 11-18 illustrate various schemes for distributing a tradeorder; and

[0032]FIG. 19 is a flowchart illustrating the process for trading usingthe price consolidation feature of the present invention.

DETAILED DESCRIPTION OF THE INVENTION

[0033] As described with reference to the accompanying figures, thepresent invention provides a display and trading method to ensure fastand accurate execution of trades by displaying market depth on avertical or horizontal plane, which fluctuates logically up or down,left or right across the plane as the market prices fluctuates. Thisallows the trader to place trade orders quickly and efficiently. Acommodity's market depth is the current bid and ask prices andquantities in the market. The display and trading method of theinvention increase the likelihood that the trader will be able toexecute orders at desirable prices and quantities.

[0034] In the preferred embodiment, the present invention is implementedon a computer or electronic terminal. The computer is able tocommunicate either directly or indirectly (using intermediate devices)with the exchange to receive and transmit market, commodity, and tradingorder information. It is able to interact with the trader and togenerate contents and characteristics of a trade order to be sent to theexchange. It is envisioned that the system of the present invention canbe implemented on any existing or future terminal or device with theprocessing capability to perform the functions described herein. Thescope of the present invention is not limited by the type of terminal ordevice used. Further, the specification refers to a single click of amouse as a means for user input and interaction with the terminaldisplay as an example of a single action of the user. While thisdescribes a preferred mode of interaction, the scope of the presentinvention is not limited to the use of a mouse as the input device or tothe click of a mouse button as the user's single action. Rather, anyaction by a user within a short period of time, whether comprising oneor more clicks of a mouse button or other input device, is considered asingle action of the user for the purposes of the present invention.

[0035] The system can be configured to allow for trading in a single orin multiple exchanges simultaneously. Connection of the system of thepresent invention with multiple exchanges is illustrated in FIG. 1. Thisfigure shows multiple host exchanges 101-103 connected through routers104-106 to gateways 107-109. Multiple client terminals 110-116 for useas trading stations can then trade in the multiple exchanges throughtheir connection to the gateways 107-109. When the system is configuredto receive data from multiple exchanges, then the preferredimplementation is to translate the data from various exchanges into asimple format. This “translation” function is described below withreference to FIG. 1. An applications program interface (“TT API” asdepicted in the figure) translates the incoming data formats from thedifferent exchanges to a simple preferred data format. This translationfunction may be disposed anywhere in the network, for example, at thegateway server, at the individual workstations or at both. In addition,the storage at gateway servers and at the client workstations, and/orother external storage cache historical data such as order books whichlist the client's active orders in the market; that is, those ordersthat have neither been filled nor cancelled. Information from differentexchanges can be displayed at one or in multiple windows at the clientworkstation. Accordingly, while reference is made through the remainderof the specification to a single exchange to which a trading terminal isconnected, the scope of the invention includes the ability to trade, inaccordance with the trading methods described herein, in multipleexchanges using a single trading terminal.

[0036] The preferred embodiments of the present invention include thedisplay of “Market Depth” and allow traders to view the market depth ofa commodity and to execute trades within the market depth with a singleclick of a computer mouse button. Market Depth represents the order bookwith the current bid and ask prices and quantities in the market. Inother words, Market Depth is each bid and ask that was entered into themarket, subject to the limits noted below, in addition to the insidemarket. For a commodity being traded, the “inside market” is the highestbid price and the lowest ask price.

[0037] The exchange sends the price, order and fill information to eachtrader on the exchange. The present invention processes this informationand maps it through simple algorithms and mapping tables to positions ina theoretical grid program or any other comparable mapping technique formapping data to a screen. The physical mapping of such information to ascreen grid can be done by any technique known to those skilled in theart. The present invention is not limited by the method used to map thedata to the screen display.

[0038] How far into the market depth the present invention can displaydepends on how much of the market depth the exchange provides. Someexchanges supply an infinite market depth, while others provide nomarket depth or only a few orders away from the inside market. The userof the present invention can also chose how far into the market depth todisplay on his screen.

[0039]FIG. 2 illustrates a screen display of an invention described in acommonly owned co-pending application entitled “Click Based Trading withMarket Depth Display” Ser. No. 09/589,751 filed on Jun. 9, 2000, thecontents of which are incorporated herein by reference. This displayshows the inside market and the market depth of a given commodity beingtraded. Row 1 represents the “inside market” for the commodity beingtraded which is the best (highest) bid price and quantity and the best(lowest) ask price and quantity. Rows 2-5 represent the “market depth”for the commodity being traded. In the preferred embodiment of thepresent invention, the display of market depth (rows 2-5) lists theavailable next-best bids, in column 203, and asks, in column 204. Theworking bid and ask quantity for each price level is also displayed incolumns 202 and 205 respectively (inside market—row 1). Prices andquantities for the inside market and market depth update dynamically ona real time basis as such information is relayed from the market.

[0040] In the screen display shown in FIG. 2, the commodity (contract)being traded is represented in row 1 by the character string “CDH0”. TheDepth column 208 will inform the trader of a status by displayingdifferent colors. Yellow indicates that the program application iswaiting for data. Red indicates that the Market Depth has failed toreceive the data from the server and has “timed out.” Green indicatesthat the data has just been updated. The other column headings in thisand all of the other figures, are defined as follows. BidQty (BidQuantity): the quantity for each working bid, BidPrc (Bid Price): theprice for each working bid, AskPrc (Ask Price): the price for eachworking ask, AskQty (Ask Quantity): the quantity for each working ask,LastPrc (Last Price): the price for the last bid and ask that werematched in the market and LastQty (Last Quantity): the quantity tradedat the last price. Total represents the total quantity traded of thegiven commodity.

[0041] The configuration of the screen display itself informs the userin a more convenient and efficient manner than existing systems. Tradersgain a significant advantage by seeing the market depth because they cansee trends in the orders in the market. The market depth display showsthe trader the interest the market has in a given commodity at differentprice levels. If a large amount of bids or asks are in the market nearthe trader's position, he may feel he should sell or buy before theinside market reaches the morass of orders. A lack of orders above orbelow the inside market might prompt a trader to enter orders near theinside market. Without seeing the market depth, no such strategies couldbe utilized. Having the dynamic market depth, including the bid and askquantities and prices of a traded commodity aligned with and displayedbelow the current inside market of the commodity conveys the informationto the user in a more intuitive and easily understandable manner. Trendsin the trading of the commodity and other relevant characteristics aremore easily identifiable by the user through the use of the presentinvention.

[0042] Various abbreviations are used in the screen displays, andspecifically, in the column headings of the screen displays reproducedherein. Some abbreviations have been discussed above. A list of commonabbreviations and their meanings is provided in Table 1. TABLE IAbbreviations COLUMN DESCRIPTION COLUMN DESCRIPTION Month ExpirationMonth/Year TheoBid Theoretical Bid Price Bid Mbr₍₁₎ Bid Member IDTheoAsk Theoretical Ask Price WrkBuys₍₂₎ Working Buys for entire GroupQAct Quote Action (Sends ID individual quotes) BidQty Bid Quantity BQQTest Bid Quote Quantity ThrshBid₍₆₎ Threshold Bid Price BQP Test BidQuote Price BidPrc Bid Price Mkt BQQ Market Bid Quote Quantity Bid QtyAccum Accumulated Bid Quantity Mkt BQP Market Bid Quote Price BidPrc AvgBid Price Average Quote Checkbox activates/deactivates contract forquoting AskPrc Avg Ask Price Average Mkt AQQ Market Ask Quote QuantityAskQty Accum Accumulated Ask Quantity Mkt AQP Market Ask Quote PriceAskPrc Ask Price AQP Ask Quote Price ThrshAsk₍₆₎ Threshold Ask Price AQQAsk Quote Quantity AskQty Ask Quantity Imp BidQty₍₅₎ Implied BidQuantity WrkSells₍₂₎ Working Sells for entire Group Imp BidPrc₍₅₎Implied Bid Price ID Ask Mbr₍₁₎ Ask Member ID Imp AskQty₍₅₎ Implied AskQuantity NetPos Net Position Imp AskPrc₍₅₎ Implied Ask Price FFNetPosFast Fill Net Position Gamma₍₃₎ Change in Delta given1 pt change inunderlying LastPrc Last Price Delta₍₃₎ Change in price given 1 pt changein underlying LastQty Last Quantity Vola₍₃₎ Percent volatility TotalTotal Traded Quantity Vega₍₃₎ Price change given 1% change in Vola HighHigh Price Rho₍₃₎ Price change given 1% change in interest rate Low LowPrice Theta₍₃₎ Price change for every day that elapses Open OpeningPrice Click Trd Activate/deactivate click trading by contract CloseClosing Price S (Status) Auction, closed, FastMkt, Not Tradable,Pre-trading, Tradable, S = post-trading Chng Last Price-Last CloseExpiry Expiration Month/Year TheoPrc Theoretical Price

[0043] As described herein, the display and trading method of thepresent invention provide the user with certain advantages over systemsin which a display of market depth, as shown in FIG. 2, is used. TheMercury display and trading method of the present invention ensure fastand accurate execution of trades by displaying market depth on avertical or horizontal plane, which fluctuates logically up or down,left or right across the plane as the market prices fluctuates. Thisallows the trader to trade quickly and efficiently. An example of such aMercury display is illustrated in the screen display of FIG. 3.

[0044] The display of market depth and the manner in which traders tradewithin the market depth can be effected in different manners, which manytraders will find materially better, faster and more accurate. Inaddition, some traders may find the display of market depth to bedifficult to follow. In the display shown in FIG. 2, the market depth isdisplayed vertically so that both Bid and Ask prices descend the grid.The Bid prices descend the market grid as the prices decrease. Askprices also descend the market grid as these prices actually increase.This combination may be considered counterintuitive and difficult tofollow by some traders.

[0045] The Mercury display overcomes this problem in an innovative andlogical manner. Mercury also provides an order entry system, marketgrid, fill window and summary of market orders in one simple window.Such a condensed display materially simplifies the trading system byentering and tracking trades in an extremely efficient manner. Mercurydisplays market depth in a logical, vertical fashion or horizontally orat some other convenient angle or configuration. A vertical field isshown in the figures and described for convenience, but the field couldbe horizontal or at an angle. In turn, Mercury further increases thespeed of trading and the likelihood of entering orders at desired priceswith desired quantities. In the preferred embodiment of the invention,the Mercury display is a static vertical column of prices with the bidand ask quantities displayed in vertical columns to the side of theprice column and aligned with the corresponding bid and ask prices. Anexample of this display is shown in FIG. 3.

[0046] Bid quantities are in the column 1003 labeled BidQ and askquantities are in column 1004 labeled AskQ. The representative ticksfrom prices for the given commodity are shown in column 1005. The columndoes not list the whole prices (e.g. 95.89), but rather, just the lasttwo digits (e.g. 89). In the example shown, the inside market, cells1020, is 18 (best bid quantity) at 89 (best bid price) and 20 (best askquantity) at 90 (best ask price). In the preferred embodiment of theinvention, these three columns are shown in different colors so that thetrader can quickly distinguish between them.

[0047] The values in the price column are static; that is, they do notnormally change positions unless a re-centering command is received(discussed in detail later). The values in the Bid and Ask columnshowever, are dynamic; that is, they move up and down (in the verticalexample) to reflect the market depth for the given commodity. The LTQcolumn 1006 shows the last traded quantity of the commodity. Therelative position of the quantity value with respect to the Price valuesreflects the price at which that quantity was traded. Column 1001labeled E/W (entered/working) displays the current status of thetrader's orders. The status of each order is displayed in the price rowwhere it was entered. For example, in cells 1007, the number next to Sindicates the number of the trader's ordered lots that have been sold atthe price in the specific row. The number next to W indicates the numberof the trader's ordered lots that are in the market, but have not beenfilled—i.e. the system is working on filling the order. Blanks in thiscolumn indicate that no orders are entered or working at that price. Incells 1008, the number next to B indicates the number of the trader'sordered lots that have been bought at the price in the specific row. Thenumber next to W indicates the number of the trader's ordered lots thatare in the market, but have not been filled—i.e. the system is workingon filling the order.

[0048] Various parameters are set and information is provided in column1002. For example, “10:48:44” in cell 1009 shows the actual time of day.The L and R fields in cell 1010 indicate a quantity value, which may beadded to the order quantity entered. This process is explained belowwith respect to trading under Mercury. Below the L and R fields, in cell1011, a number appears which represents the current market volume. Thisis the number of lots that have been traded for the chosen contract.Cell 1012, “X 10”, displays the Net Quantity, the current position ofthe trader on the chosen contract. The number “10” represents thetrader's buys minus sells. Cell 1013 is the “Current Quantity”; thisfield represents the quantity for the next order that the trader willsend to market. This can be adjusted with right and left clicks (up anddown) or by clicking the buttons which appear below the Current Quantityin cells 1014. These buttons increase the current quantity by theindicated amount; for example, “10” will increase it by 10; “1H” willincrease it by 100; “1K” will increase it by 1000. Cell 1015 is theClear button; clicking this button will clear the Current Quantityfield. Cell 1016 is the Quantity Description; this is a pull down menuallowing the trader to chose from three Quantity Descriptions. The pulldown menu is displayed when the arrow button in the window is clicked.The window includes NetPos, Offset and a field allowing the trader toenter numbers. Placing a number in this field will set a default buy orsell quantity. Choosing “Offset” in this field will enable the L/Rbuttons of cell 1010. Choosing “NetPos” in this field will set thecurrent Net Quantity (trader's net position) as the trader's quantityfor his next trade. Cell 1017 are +/− buttons; these buttons will alterthe size of the screen-either larger (+) or smaller (−). Cell 1018 isused to invoke Net 0; clicking this button will reset the Net Quantity(cell 1101) to zero. Cell 1019 is used to invoke Net Real; clicking thisbutton will reset the Net Quantity (cell 1011) to its actual position.

[0049] The inside market and market depth ascend and descend as pricesin the market increase and decrease. For example, FIG. 4 shows a screendisplaying the same market as that of FIG. 3 but at a later intervalwhere the inside market, cells 1101, has risen three ticks. Here, theinside market for the commodity is 43 (best bid quantity) at 92 (bestbid price) and 63 (best ask quantity) at 93 (best ask price). Incomparing FIGS. 3 and 4, it can be seen that the price column remainedstatic, but the corresponding bids and asks rose up the price column.Market Depth similarly ascends and descends the price column, leaving avertical history of the market.

[0050] As the market ascends or descends the price column, the insidemarket might go above or below the price column displayed on a trader'sscreen. Usually a trader will want to be able to see the inside marketto assess future trades. The system of the present invention addressesthis problem with a one click centering feature. With a single click atany point within the gray area, 1021, below the “Net Real” button, thesystem will re-center the inside market on the trader's screen. Also,when using a three-button mouse, a click of the middle mouse button,irrespective of the location of the mouse pointer, will re-center theinside market on the trader's screen.

[0051] The same information and features can be displayed and enabled ina horizontal fashion. Just as the market ascends and descends thevertical Mercury display shown in FIGS. 3 and 4, the market will moveleft and right in the horizontal Mercury display. The same data and thesame information gleaned from the dynamical display of the data isprovided. It is envisioned that other orientations can be used todynamically display the data and such orientations are intended to comewithin the scope of the present invention.

[0052] Display Using Price Consolidation

[0053] The price consolidation feature of the present invention is usedto condense a large number of price rows into a more manageable numberof price rows, resulting in more expedient trading. By consolidatingprices, and therefore orders, a trader reduces the risk of a favorableorder scrolling from the screen prior to his hitting a bid or ask onthat order at its favorable price.

[0054] The present invention provides a display and graphical userinterface on which order and price information is displayed and fromwhich order and price information can be sent to electronic markets.FIG. 7A shows an unconsolidated screen 1700 while FIG. 7B shows aconsolidated screen 1702 under the present invention. There are threeprimary areas that are of interest in the consolidation of prices—theBid Quantity (BidQ) column 1704, 1710, the Ask Quantity (AskQ) column1706, 1712, and the Price (Prc) column 1708, 1714. In the preferredembodiment, the display has a vertical orientation and these displayregions are shown as columns, as is evident in the figures. However, inother embodiments, these display regions could be horizontal rows orsome other shape and orientation.

[0055] The Bid Quantity column lists the total amount of working bids inthe market at the corresponding price rows. As discussed above, a “bid”is an order to buy a given quantity of a commodity at a given price. TheAsk Quantity column lists the total amount of working asks in the marketat the corresponding price rows. An “ask” is an order to sell a givenquantity of a commodity at a given price. The Price column lists theprices (ticks) for the chosen commodity.

[0056] Typically, markets provide prices in ticks. The static pricecolumn of the Mercury trading screen can display as many such ticks asthe trader's screen will allow. The present invention makes it possibleto expand the price range displayed by consolidating the price rows asmuch as the trader desires. The trader designates a finite number ofticks (e.g. 5) to be consolidated into a single consolidated price row,and the present invention will consolidate the price rows accordingly.

[0057] While the static price column will simply display the prices inthe increments chosen by the trader, each price in the rangecorresponding to a consolidated price row will be rounded up or downdepending on whether the price is considered in relation to an ask or abid quantity. If considered in relation to an ask quantity, the pricewill round up (or remain equal) to the nearest consolidated price row,and if considered in relation to a bid quantity, the price will rounddown (or remain equal) to the nearest consolidated price row.

[0058]FIGS. 7A and 7B illustrate the consolidation of the prices fromthe unconsolidated display 1700 to the consolidated display 1702. In thedisplays shown, the range of prices 95-99 (1716) corresponding to bidsconsolidate to price 95 (1726). The range of prices 00-04 (1718)corresponding to bids consolidate to price 00 (1728). The range ofprices 01-05 (1720) corresponding to asks consolidate to price 05(1730). The range of prices 06-10 (1722) corresponding to asksconsolidate to price 10 (1732). For example, the 04 price in the 1720range is rounded up to 05 when considered in relation to the askquantity in the market. The 05 price is included in the 05 consolidatedprice row when considered in relation to the ask quantity in the market.The remaining prices in range 1720 (03, 02, and 01) are irrelevant whenconsidering the prices of asks in the market because there are no askquantities in the market.

[0059] Conversely, prices 03, 02, 01, and 00 in the range 1718 arerounded down to 00 as the next lowest consolidated price row in relationto the bid quantities in the market. Price 04 of range 1718 isirrelevant when considering the prices of bids in the market becausethere are no corresponding bid quantities in the market.

[0060] The user, under the present invention, has the ability to offsetthe starting point for the consolidation of prices. This display ofprices depends both on the manner in which each exchange provides theprice information and the user's preferences. The prices may bedisplayed on the screen in ticks, fractions of ticks, or in currency(dollars, Euros, etc.). Regardless of the manner in which prices aredisplayed, the calculations performed to effect the present inventionassume that the prices are in ticks. For example, if the market ticksize is 0.25, but a trader is trading in dollars and enters an order of$10, the invention will view the trader's order as 40 ticks whenperforming calculations (0.25×40=10). The starting point for the displayof the consolidation of prices automatically defaults to the zero pricelevel, but it may be offset to any price level from zero to one lessthan the range size (increment) chosen by the user. For example, if thetrader chose to consolidate the price row into groups of five, thestarting point could be any integer from 0 through 4, since 4 is oneless than the maximum group size of 5. From that starting point, thestatic price row will ascend and descend. This enables the trader togroup price rows at any tick offset. For example, if the market ticksize is 0.25 (i.e. $0.25) the price row will ascend as follows: 0.25,0.50, 0.75, 1.00, 1.25, etc. If the trader wanted to display the pricerow in increments of 1.0 (e.g. 1.00, 2.00, 3.00, 4.00, etc.), he wouldchoose to consolidate the price row into groups of 4 since 0.25 goesinto 1.00 four times. Starting at the default starting point of zero,the price row would then ascend as follow: 1.00, 2.00, 3.00, 4.00, etc.Now assume that this same trader, still wanting to trade in increments1.00, would rather trade with the price row displaying prices at the 0.5point. He would then set the tick offset to 2 ticks (equivalent to anoffset of 0.5 where the tick size is 0.25). This is possible because0.50 would fall into a price level between zero and one less than therange size of 4. Due to the offset, the consolidation would begin at0.50 with 0.50, 0.75, 1.00, and 1.25 being the prices in the firstconsolidated price group (this group would be displayed on the screen asthe 0.50 price level). All of the ascending price groups, beginning at1.50, would now be in increments of 1.00 (groups of four 0.25 pricelevels) and will ascend the price row as follows: 0.50, 1.50, 2.50,3.50, 4.50, etc.

[0061] Note that in the figures of the present specification, no offsethas been used.

[0062] The following equations are used to determine what consolidatedprice would correspond to a given bid or ask price:

[0063] P=Price (in ticks)

[0064] N=Variable increment chosen by the trader (number of ticks perconsolidated price)

[0065] Bcp=Consolidated price row with corresponding bid quantity (inticks)

[0066] Acp=Consolidated price row with corresponding ask quantity (inticks)

[0067] Int=Integer Function

[0068] Os=Offset (# of ticks)

[0069] Bcp=Int((P−Os)/N)N+Os

[0070] Acp=Int(((P−Os)+N−1)/N)N+Os

[0071] At the end of the calculations, the result, which is in the unitsof ticks, is displayed on the screen in ticks or converted to aformat/unit desired by the user in a manner as set forth above withrespect to the conversion to ticks.

[0072] As the price column is condensed, the corresponding bid and askquantities in the market also are condensed with their correspondingconsolidated prices. Bid quantities in the market are consolidated intothe lowest corresponding price row. Conversely, ask quantities in themarket are consolidated into the highest corresponding price row. Suchconsolidation is demonstrated in FIGS. 8A and 8B. The screen displayedon the right (1702) shows a consolidated price column 1714 and thecorresponding consolidated bid 1710 and ask 1712 quantities. The bidquantities in the market are consolidated to the lowest correspondingprice (00, 95, 90, 85 etc.), while the ask quantities are consolidatedto their highest corresponding price (05, 10, 15, 20 etc.).

[0073] As will often be the case, and as illustrated by FIGS. 8A and 8B,the inside market may fall within a consolidated price row. In otherwords, the inside market prices—03 and 04 in price column 1708—arebetween the consolidated price rows—00 and 05 in price column 1714. Therounding principle set forth above still applies in this scenario. As aresult, all of the bid quantities in the relevant range 1802 (here oneof the bid quantities is 0, because it is above the inside market) willcorrespond to the consolidated price row “00” (1808), which now displaysa consolidated bid quantity of 108 which is the sum of the bidquantities in the price range 00-04. All of the ask quantities in therelevant range 1804 (here three of the ask quantities are 0, becausethey are below the inside market) will correspond to the condensed pricerow “05” (1806), which now displays a condensed ask quantity of 206which is the sum of the ask quantities in the price range of 01-05.

[0074] Placing Trade Orders

[0075] Next, trading commodities, and specifically, the placement oftrade orders using the Mercury display is described. Using the Mercurydisplay and trading method, a trader would first designate the desiredcommodity and, if applicable, the default quantities. Then he can tradewith single clicks of the right or left mouse button. The followingequations are used by the system to generate trade orders and todetermine the quantity and price to be associated with the trade order.The following abbreviations are used in these formulas: P=Price value ofrow clicked (in ticks), R=Value in R field, L=Value in L field,Q=Current Quantity, Q_(a)=Total of all quantities in AskQ column at anequal or better price than P, Q_(b)=Total of all quantities in BidQcolumn at an equal or better price than P, N=Current Net Position,Bo=Buy order sent to market and So=Sell order sent to market.

[0076] Any order entered using right mouse button

Bo=(Q _(a) +R)P  (Eq. 1)

[0077] If BidQ field clicked.

So=(Q _(b) +R)P  (Eq. 2)

[0078] If AskQ field clicked.

[0079] Orders Entered Using the Left Mouse Button

[0080] If “Offset” mode chosen in Quantity Description field then (note,this Offset is different than the offset described above with respect toprice consolidation):

Bo=(Q _(a) +L)P  (Eq. 3)

[0081] If BidQ field clicked.

So=(Q _(b) +L)P  (Eq. 4)

[0082] If AskQ field clicked.

[0083] If “number” mode chosen in Quantity Description field then:

Bo=QP  (Eq. 5)

So=QP  (Eq. 6)

[0084] If “NetPos” mode chosen in Quantity Description field then:

Bo=NP  (Eq. 7)

So=NP  (Eq. 8)

[0085] Orders can also be sent to market for quantities that varyaccording to the quantities available in the market; quantities presetby the trader; and which mouse button the trader clicks. Using thisfeature, a trader can buy or sell all of the bids or asks in the marketat or better than a chosen price with one click. The trader could alsoadd or subtract a preset quantity from the quantities outstanding in themarket. If the trader clicks in a trading cell—i.e. in the BidQ or AskQcolumn, he will enter an order in the market. The parameters of theorder depend on which mouse button he clicks and what preset values heset.

[0086] Using the screen display and values from FIG. 5, the placement oftrade orders using the Mercury display and trading method is nowdescribed using examples. A left click on the 18 in the BidQ column 1201will send an order to market to buy 17 lots (quantity # chosen on theQuantity Description pull down menu cell 1204) of the commodity at aprice of 89 (the corresponding price in the Prc column 1203). Similarly,a left click on the 20 in the AskQ column 1202 will send an order tomarket to buy 17 lots at a price of 90.

[0087] Using the right mouse button, an order would be sent to market atthe price that corresponds to the row clicked for the total quantity oforders in the market that equal or better the price in that row plus thequantity in the R field 1205. Thus, a right click in the AskQ column1202 in the 87 price row will send a sell order to market at a price of87 and a quantity of 150. 150 is the sum of all the quantities 30, 97,18 and 5. 30, 97 and 18 are all of the quantities in the market thatwould meet or better the trader's sell order price of 87. Thesequantities are displayed in the BidQ column 1201 because this columnrepresents the orders outstanding in the market to purchase thecommodity at each corresponding price. The quantity 5 is the quantitypre-set in the R field 1205.

[0088] Similarly, a right click in the BidQ column 1201 at the sameprice level of 87 would send a buy limit order to market for a quantityof 5 at a price of 87. The quantity is determined in the same manner asabove. In this example, though, there are no orders in the market thatequal or better the chosen price—there are no quantities in the AskQcolumn 1202 that equal or better this price. Therefore, the sum of theequal or better quantities is zero (“0”). The total order entered by thetrader will be the value in the R field, which is 5.

[0089] An order entered with the left mouse button and the “Offset”option chosen in the quantity description field 1204 will be calculatedin the same way as above, but the quantity in the L field 1206 will beadded instead of the quantity in the R field 1205. Thus, a left click inthe BidQ column 1201 in the 92 price row will send a buy order to marketat a price of 92 and a quantity of 96. 96 is the sum of all thequantities 45, 28, 20 and 3. 45, 28 and 20 are all quantities in themarket that would meet or better the trader's buy order price of 92.These quantities are displayed in the AskQ column 1202 because thiscolumn represents the orders outstanding in the market to sell thecommodity at each corresponding price. The quantity 3 is the quantitypre-set in the L field 1206.

[0090] The values in the L or R fields may be negative numbers. Thiswould effectively decrease the total quantity sent to market. In otherwords, in the example of a right click in the AskQ column 1202 in the 87price row, if the R field was −5, the total quantity sent to marketwould be 140 (30+97+18+(−5)).

[0091] If a trader chose the “NetPos” option in the quantity descriptionfield 1204, a right click would still work as explained above. A leftclick would enter an order with a price corresponding to the price rowclicked and a quantity equal to the current Net position of the trader.The Net position of the trader is the the trader's current position onthe chosen contract. In other words, if the trader has bought 10 morecontracts than he has sold, this value would be 10. NetPos would notaffect the quantity of an order sent with a right click.

[0092] If the trader chose a number value in the quantity description, aleft click would send an order to market for the current quantity chosenby the trader. The default value of the current quantity will be thenumber entered in the quantity description field, but it could bechanged by adjusting the figure in the current quantity field 1204.

[0093] This embodiment of the invention also allows a trader to deleteall of his working trades with a single click of either the right orleft mouse button anywhere in the last traded quantity (LTQ) column1207. This allows a trader to exit the market immediately. Traders willuse this feature when they are losing money and want to stop the lossesfrom piling up. Traders may also use this feature to quickly exit themarket upon making a desired profit. The invention also allows a traderto delete all of his orders from the market at a particular price level.A click with either mouse button in the Entered/Working (E/W) column1208 will delete all working orders in the cell that was clicked. Thus,if a trader believes that previously sent orders at a particular pricethat have not been filled would be poor trades, he can delete theseorders with a single click.

[0094] The process for placing trade orders using the Mercury displayand trading method of the present invention as described above is shownin the flowchart of FIG. 6. First, in step 1301, the trader has theMercury display on the trading terminal screen showing the market for agiven commodity. In step 1302, the parameters are set in the appropriatefields, such as the L and R fields and the Current Quantity, NetPos orOffset fields from the pull down menu. In step 1303, the mouse pointeris positioned and clicked over a cell in the Mercury display by thetrader. In step 1304, the system determines whether the cell clicked isa tradeable cell (i.e. in the AskQ column or BidQ column). If not, thenin step 1305, no trade order is created or sent and, rather, otherquantities are adjusted or functions are performed based upon the cellselected. Otherwise, in step 1306, the system determines whether it wasthe left or the right button of the mouse that was clicked. If it wasthe right, then in step 1307, the system will use the quantity in the Rfield when it determines the total quantity of the order in step 1310.If the left button was clicked, then in step 1308, the system determineswhich quantity description was chosen: Offset, NetPos or an actualnumber.

[0095] If Offset was chosen, then the system, in step 1309, will use thequantity in the L field when it determines the total quantity of theorder in step 1310. If NetPos was chosen, then the system, in step 1312,will determine that the total quantity for the trade order will be thecurrent NetPos value, i.e. the net position of the trader in the givencommodity. If an actual number was used as the quantity description,then, in step 1311, the system will determine that the total quantityfor the trade order will be the current quantity entered. In step 1310,the system will determine that the total quantity for the trade orderwill be the value of the R field (if step 1307 was taken) or the valueof the L field (if step 1309 was taken) plus all quantities in themarket for prices better than or equal to the price in the row clicked.This will add up the quantities for each order in the market that willfill the order being entered by the trader (plus the L or R value).

[0096] After either steps 1310, 1311 or 1312, the system, in step 1313,determines which column was clicked, BidQ or AskQ. If AskQ was clicked,then, in step 1314, the system sends a sell limit order to the market atthe price corresponding to the row for the total quantity as alreadydetermined. If BidQ was clicked, then, in step 1315, the system sends abuy limit order to the market at the price corresponding to the row forthe total quantity as already determined.

[0097] Placing Trade Orders Using Price Consolidation

[0098] Now, placing trade orders using the price consolidation featureof the present invention is described. The method and single actionsused in placing trade orders are the same as described above. Underprice consolidation, however, the contents of the trade order aredifferent than when the price consolidation feature is not used.Specifically, the price or prices at which orders and the quantities forwhich they are placed differ from that described above.

[0099]FIG. 9 illustrates an unconsolidated display 1700 under thepresent invention. Within the bid 1704 and ask 1706 columns of thedisplay of the present invention, there are essentially four distinctareas in which a trader can click to send an order to the market. Theseare shown as Areas 1-4 in FIG. 9. Two are within the bid display region(1704) and two are within the ask display region (1706). Clicking on anactive cell within one of the areas will enter an order that either“joins” the market, “hits” an existing bid, or “takes” an existing ask.If either hitting a bid or taking an ask, then such orders will likelybe immediately filled in the market. While these areas are shown inrelation to an unconsolidated display, they are meant to refer, for thepurposes of the present specification, to corresponding areas in theconsolidated displays as well. Accordingly, Area 1 is meant to refer tothe cells in the bid display region corresponding to prices at or abovethe inside market. Area 2 refers to the cells in the ask display regioncorresponding to prices at or below the inside market. Area 3 refers tothe cells in the bid display region corresponding to prices at or belowthe inside market. Area 4 refers to the cells in the ask display regioncorresponding to prices at or above the inside market.

[0100] Using the display of the present invention without priceconsolidation, a trader clicking on a specific row in area 1, will senda limit order to buy at the price corresponding to that row or at abetter price. This order will “take” existing asks and will likely beimmediately filled in the market. Similarly, by clicking on a specificrow in area 2, a trader will send a limit order to sell at the pricecorresponding to that row or at a better price. This order will “hit”existing bids in the market and will likely be immediately filled in themarket.

[0101] When a trader sends a buy or sell order to market by clicking ina row where prices have been consolidated, a limit order will be sent tothe exchange to be filled at the best price[s] available from theclicked price row to the inside market. For example, referring again toFIGS. 8A and 8B, if a trader clicks in the AskQ column 1712 in the “00”consolidated price row 1808, and his preset quantity is 100, his orderwill be filled as follows: 2 at a price of 03, 2 at a price of 02, 2 ata price of 01, and 94 at a price of 00 (see range 1802). If the traderclicks in the BidQ column 1710 in the “05” consolidated price row 1806,and his preset quantity is 100, his order will be filled as follows: 5at a price of 04 and 95 at a price of 05 (see range 1804).

[0102] In the consolidated display 1702, when clicking in either area 1or area 2 with consolidated price rows, the present innovation carriesout a 2-step process. Step 1 involves sending an order to the market upto the quantity of orders available in the market at the desired priceor better. If the quantity of the order is for less than the quantityavailable in the market, then the order will be filled completely.However, if the order quantity is for more than the quantity availablein the market, step 1 will result in filling only the quantity availableat the desired price or better (therefore “taking out” the market). Inthis case, Step 2 will be performed whereby the remaining quantity will“join” the market in accordance with the distribution scheme selected bythe trader (the various distribution schemes are described in detaillater in the specification). In essence, the process carried out in step2 is the same as when a trader joins the market via area 3 or area 4.

[0103] For example, in FIG. 8B, if a trader clicks in area 1 at pricerow 10 with a predefined quantity of 400, an order to buy will be sentto market for all available quantities in the market at or better than aprice of 10. Using the values shown in ask display region 1712, allavailable quantities at or better than 10 equals 320 (114+206). All 320will be filled and, in accordance with step 2 described above, theinvention will send the remaining 80 to join the market in accordancewith the trader's pre-determined distribution scheme. In other words,the remaining quantity will join the market and be displayed on thetrader's screen in the BidQ column in consolidated price row 10. Theactual order quantity (or quantities) will be distributed according tothe pre-determined distribution scheme.

[0104] As described above, a trader who enters the market in area 1 or 2with a pre-defined quantity greater than the quantity available in themarket, will join the market with that excess. By directly clicking on aspecific row in area 3 however, a trader elects to “join” the marketwith a Bid order at the price corresponding to that row. Similarly, byclicking on a specific row in area 4, a trader elects to “join” themarket with an Ask order at the price corresponding to that row.“Joining the market” means that the trader will place orders among theexisting orders in the market that will not immediately match otherorders in the market. Rather, the orders that join the market will onlybe filled if the market moves and they are matched.

[0105] Under the price consolidation feature of the present invention,the orders entered to join the market be grouped in a different manner.FIG. 10 illustrates the consolidated display 1702, but here, unlikeprevious figures, only the trader's orders are shown. The incrementchosen by the trader is 10. As evident from this figure, there is a bidorder 1740 for a quantity 10 placed at consolidated price 00. Theinvention provides the trader with multiple options for distributing thetrade order quantity among the prices within the range represented bythe consolidated price. The following are examples of such distributionmethods shown in unconsolidated displays using FIG. 10 and the tradeorder shown therein as a reference.

[0106] The first option is to allow a single limit order to be enteredfor the chosen quantity at the best price within the consolidated pricerow. As shown in FIG. 11, if a trader clicks on the BidQ column 1710(see FIG. 10) at the 00 consolidated price row, he will join the marketin that consolidated price row. If the Bid quantity that he wishes toenter is 10, and he chooses to distribute all 10 orders at the bestprice, the 10 orders (see 1704) will then be entered at the best priceof 09 (see 1708).

[0107] Another option under the present invention, as shown in FIG. 12,is to allow a single limit order to be entered for the chosen quantityat the worst price within the consolidated price row. Upon joining themarket at the 00 consolidated price row, and choosing to distribute all10 orders at the worst price, all 10 orders (see 1704) will be enteredat the worst price of 00 (see 1708).

[0108] Yet another option for distributing an entered order includes aneven distribution of multiple orders throughout the prices in theconsolidated price row. As shown in FIG. 13, after joining the market atthe 00 consolidated price row, and choosing to evenly distribute all 10order, one order each will be distributed among the 10 price rows thatmake up the consolidated 00 price row.

[0109] A further option is a random distribution of the orders as shownin FIG. 14. The bid quantities shown in column 1704 sum to the orderquantity of 10 and are randomly distributed among the prices within therange corresponding to the consolidated price at which the order wasplaced.

[0110] The present invention will also allow a single limit order to beentered for the chosen quantity at both the best price and random priceswithin the consolidated price row. As shown in FIG. 15, the trader choseto distribute 50% of his 10 orders at the best price and randomlydistribute the additional 50% among any of the prices incorporated intothe consolidated price row.

[0111] Similarly, the present invention allows for the distribution ofmultiple percentages of orders among the separate prices that make upthe consolidated price row. FIG. 16 illustrates orders entered by atrader when he chose to distribute 50% of the 10 orders at the bestprice, 20% at the worst price, and 30% midway through the best and worstprices.

[0112] In addition, the present invention will allow for thedistribution of multiple orders from a consolidated price row to beweighted toward the best price. In FIG. 17, the trader chose to weighthis 10 orders toward the best price resulting in four orders at the 09price, three at 08, two at 07, and one at 06.

[0113] Much like the distribution explained above, the present inventionalso allows for the distribution of multiple orders from a consolidatedprice row to be weighted toward the worst price. FIG. 18 illustrates theresult of a trader choosing to weight his 10 orders toward the worstprice (four are at the 00 worst price, three at 01, two at 02, and oneat 03).

[0114] As discussed above, the aforementioned distribution schemes orany combination thereof, can be used to distribute orders that areplaced to join the market. Furthermore, they can be used to distributeexcess orders, that is, the quantity of the order remaining after thequantity available in the market has been matched. The distribution oftrade orders can be accomplished by any convenient programmingtechniques, including rule-based programming techniques. Also, therandomization in distributing the trade orders can be accomplishedthrough the use of one or more standard randomizing algorithms.

[0115] When condensing prices, the market depth may affect the displayof consolidated ticks. The order information that is available variesdepending on the exchange. Some exchanges offer an infinite number ofprices, while others may supply only a limited number. If a traderelects to group ticks into consolidated price rows of five ticks perrow, and a particular exchange offers only ten prices, consolidatingwould be unnecessary because all of the prices could be displayedseparately on the screen at the same time.

[0116] Flowchart of the Placing Trade Orders Using Price Consolidation

[0117] The flowchart shown in FIG. 19 illustrates the trade orderplacement using price consolidation. It is a modification of that shownin FIG. 6 which illustrates the process described in the parentapplication. The modifications include a step 1916 for setting up theconsolidation quantity (increment) and distribution scheme. Theflowchart of FIG. 6 has been altered to illustrate the effect ofconsolidating price rows. For example, if a trader enters the market andelects to enter a Bid order of 20 commodities at a consolidated price of00, since that 00 represents a range of prices, the 00 may not be thebest market price. The present invention provides that trader with theoption of splitting the quantity into one or more orders within theconsolidated price range, and therefore potentially entering the marketat a better price. In addition, as displayed in step 1916 of FIG. 19, atrader joining the market has the option of setting up consolidationquantity and distribution schemes as discussed above.

[0118] The boxes added to the flowchart address the treatment of ordersthat are “better than” the market price but where the quantity selectedis larger than the quantity available in the market. Specifically, theadded decision boxes address whether there is any quantity available inthe market at the order price or better (step 1917). If not, the orderremainder will be placed for the desired quantity in accordance with thepredefined distribution scheme (steps 1922 and 1923). If so, the nextquestion addressed is whether the entire quantity ordered is greaterthan what is available in the market at the order price or better (step1918). If not, the entire order will be placed (step 1919). If so, theorder will be placed for the quantity available in the market (step1920) and the remainder (step 1921) will be placed in accordance withthe predefined distribution scheme (steps 1922 and 1923).

[0119] It should be understood that the above description of theinvention and specific examples and embodiments, while indicating thepreferred embodiments of the present invention are given bydemonstration and not limitation. Many changes and modifications withinthe scope of the present invention may be made without departing fromthe spirit thereof and the present invention includes all such changesand modifications.

What is claimed is:
 1. A method of displaying, on an electronic displaydevice, the market depth of a commodity traded in a market, said methodcomprising: dynamically displaying, in a bid display region, a pluralityof consolidated bids for said commodity, each of said plurality ofconsolidated bids representing a plurality of bid quantities in themarket for said commodity; dynamically displaying, in an ask displayregion, a plurality of consolidated asks for said commodity; each ofsaid plurality of consolidated asks representing a plurality of askquantities in the market for said commodity; and statically displayingconsolidated prices corresponding to said plurality of consolidated bidsand asks, each of said consolidated prices representing a plurality ofprices for said commodity, wherein said pluralities of consolidated bidsand asks are dynamically displayed in alignment with the consolidatedprices corresponding thereto.
 2. A method of displaying, on anelectronic display device, the market depth of a commodity traded in amarket according to claim 1, wherein said consolidated bids and asks areoriented vertically.
 3. A method of displaying, on an electronic displaydevice, the market depth of a commodity traded in a market according toclaim 1, wherein said consolidated bids and asks are orientedhorizontally.
 4. A method of displaying, on an electronic displaydevice, the market depth of a commodity traded in a market according toclaim 1, wherein the number of prices in said plurality of pricesrepresented by each of said consolidated prices is adjustable.
 5. Amethod of displaying, on an electronic display device, the market depthof a commodity traded in a market according to claim 1, wherein if arange of prices corresponds to ask quantities in the market, such pricesare rounded up to a consolidated price greater than or equal to suchprices and wherein if a range of prices corresponds to bid quantities inthe market, such prices are rounded down to a consolidated price lessthan or equal to such prices.
 6. A method of displaying, on anelectronic display device, the market depth of a commodity traded in amarket according to claim 5, wherein a range of ask quantities in themarket are summed to a consolidated ask corresponding to a consolidatedprice greater than or equal to the prices corresponding to such askquantities and wherein a range of bid quantities in the market aresummed to a consolidated bid corresponding to a consolidated price lessthan or equal to the prices corresponding to such bid quantities.
 7. Amethod of displaying, on an electronic display device, the market depthof a commodity traded in a market according to claim 1, wherein pricescorresponding to ask quantities are rounded to consolidated prices inaccordance with the equation Acp=Int(((Ap−Os)+N−1)/N)N+Os, where Ap=AskQuantity Price (in ticks), N=Variable increment chosen by the trader,Acp=Consolidated price row with corresponding ask quantity (in ticks),Os=Offset (# of ticks) and Int=Integer Function.
 8. A method ofdisplaying, on an electronic display device, the market depth of acommodity traded in a market according to claim 1, wherein pricescorresponding to bid quantities are rounded to consolidated prices inaccordance with the equation: Bcp=Int((Bp−Os)/N)N+Os, where Bp=BidQuantity Price (in ticks), N=Variable increment chosen by the trader,Bcp=Consolidated price row with corresponding bid quantity (in ticks),Os=Offset (# of ticks) and Int=Integer Function.
 9. A computer readablemedium having program code recorded thereon for execution on a computerfor displaying the market depth of a commodity traded in a market, theprogram code for causing a machine to perform the following methodsteps: dynamically displaying, in a bid display region, a plurality ofconsolidated bids for said commodity, each of said plurality ofconsolidated bids representing a plurality of bid quantities in themarket for said commodity; dynamically displaying, in an ask displayregion, a plurality of consolidated asks for said commodity; each ofsaid plurality of consolidated asks representing a plurality of askquantities in the market for said commodity; and statically displayingconsolidated prices corresponding to said plurality of consolidated bidsand asks, each of said consolidated prices representing a plurality ofprices for said commodity, wherein said pluralities of consolidated bidsand asks are dynamically displayed in alignment with the consolidatedprices corresponding thereto.
 10. A computer readable medium accordingto claim 9, wherein said consolidated bids and asks are orientedvertically.
 11. A computer readable medium according to claim 9, whereinsaid consolidated bids and asks are oriented horizontally.
 12. Acomputer readable medium according to claim 9, wherein the number ofprices in said plurality of prices represented by each of saidconsolidated prices is adjustable.
 13. A computer readable mediumaccording to claim 9, wherein if a range of prices corresponds to askquantities in the market, such prices are rounded up to a consolidatedprice greater than or equal to such prices and wherein if a range ofprices corresponds to bid quantities in the market, such prices arerounded down to a consolidated price less than or equal to such prices.14. A computer readable medium according to claim 13, wherein a range ofask quantities in the market are summed to a consolidated askcorresponding to a consolidated price greater than or equal to theprices corresponding to such ask quantities and wherein a range of bidquantities in the market are summed to a consolidated bid correspondingto a consolidated price less than or equal to the prices correspondingto such bid quantities.
 15. A computer readable medium according toclaim 9, wherein prices corresponding to ask quantities are rounded toconsolidated prices in accordance with the equationAcp=Int(((Ap−Os)+N−1)/N)N+Os, where Ap=Ask Quantity Price (in ticks),N=Variable increment chosen by the trader, Acp=Consolidated price rowwith corresponding ask quantity (in ticks), Os=Offset (# of ticks) andInt=Integer Function.
 16. A computer readable medium according to claim9, wherein prices corresponding to bid quantities are rounded toconsolidated prices in accordance with the equation:Bcp=Int((Bp−Os)/N)N+Os, where Bp=Bid Quantity Price (in ticks),N=Variable increment chosen by the trader, Bcp=Consolidated price rowwith corresponding bid quantity (in ticks), Os=Offset (# of ticks) andInt=Integer Function.
 17. A graphical user interface for displaying themarket depth of a commodity traded in a market, comprising: a dynamicdisplay, in a bid display region, of a plurality of consolidated bidsfor said commodity, each of said plurality of consolidated bidsrepresenting a plurality of bid quantities in the market for saidcommodity; a dynamic display, in an ask display region, of a pluralityof consolidated asks for said commodity, each of said plurality ofconsolidated asks representing a plurality of ask quantities in themarket for said commodity; and a static display of consolidated pricescorresponding to said plurality of consolidated bids and asks, each ofsaid consolidated prices representing a plurality of prices for saidcommodity, wherein said pluralities of consolidated bids and asks aredynamically displayed in alignment with the consolidated pricescorresponding thereto.
 18. A graphical user interface according to claim17, wherein said displays are oriented vertically.
 19. A graphical userinterface according to claim 17, wherein said displays are orientedhorizontally.
 20. A graphical user interface according to claim 17,wherein the number of prices in said plurality of prices represented byeach of said consolidated prices is adjustable.
 21. A graphical userinterface according to claim 17, wherein if a range of pricescorresponds to ask quantities in the market, such prices are rounded upto a consolidated price greater than or equal to such prices and whereinif a range of prices corresponds to bid quantities in the market, suchprices are rounded down to a consolidated price less than or equal tosuch prices.
 22. A graphical user interface according to claim 21,wherein a range of ask quantities in the market are summed to aconsolidated ask corresponding to a consolidated price greater than orequal to the prices corresponding to such ask quantities and wherein arange of bid quantities in the market are summed to a consolidated bidcorresponding to a consolidated price less than or equal to the pricescorresponding to such bid quantities.
 23. A method of placing a tradeorder for a commodity, using a graphical user interface and a user inputdevice and having preset parameters for trade orders, said methodcomprising: displaying the market depth of a commodity traded in amarket, through a dynamic display, in a bid display region, of aplurality of consolidated bids for said commodity and, in an ask displayregion, of a plurality of consolidated asks for said commodity, alignedwith a static display of consolidated prices corresponding thereto; andinitiating placement of a trade order of the commodity through a singleaction of the user input device with a pointer of the user input devicepositioned within at least one of said bid and ask display regions;wherein each of said plurality of consolidated bids represents aplurality of bid quantities in the market for said commodity; whereineach of said plurality of consolidated asks represents a plurality ofask quantities in the market for said commodity; wherein each of saidconsolidated prices represents a plurality of prices for said commodity;wherein the contents of the trade order are based in part upon thepreset parameters and the position of the pointer at the time of saidsingle action.
 24. A method of placing a trade order according to claim23, wherein said trade order is a buy order if the position of thepointer at the time of said single action is within the bid displayregion and wherein said trade order is a sell order if the position ofthe pointer at the time of said single action is within the asks displayregion.
 25. A method of placing a trade order according to claim 24,wherein the trade order is a single order for said pre-determinedquantity and for the lowest price represented by the consolidated pricecorresponding to the position of the pointer at the time of said singleaction if said trade order is a buy order and for the highest pricerepresented by the consolidated price corresponding to the position ofthe pointer at the time of said single action if said trade order is asell order.
 26. A method of placing a trade order according to claim 24,wherein the trade order is comprised of multiple trade orders,quantities for which sum to a predetermined quantity and prices forwhich include prices within the range represented by the consolidatedprice corresponding to the position of the pointer at the time of saidsingle action.
 27. A method of placing a trade order according to claim26, wherein the quantities for said multiple trade orders are evenlydistributed among the prices within the range represented by theconsolidated price corresponding to the position of the pointer at thetime of said single action.
 28. A method of placing a trade orderaccording to claim 26, wherein the quantities for said multiple tradeorders are randomly distributed among the prices within the rangerepresented by the consolidated price corresponding to the position ofthe pointer at the time of said single action.
 29. A method of placing atrade order according to claim 26, wherein the quantities for saidmultiple trade orders are distributed in accordance with a predetermineddistribution method among the prices within the range represented by theconsolidated price corresponding to the position of the pointer at thetime of said single action.
 30. A method of placing a trade orderaccording to claim 26, wherein said predetermined quantity is based onsaid preset parameters and the quantities of said commodity available inthe market at the time of said single action.
 31. A computer readablemedium having program code recorded thereon, for execution on a computerhaving a graphical user interface and a user input device and havingpreset parameters for trade orders, to place a trade order for acommodity on an electronic exchange, the program code for causing amachine to perform the following method steps: displaying the marketdepth of a commodity traded in a market, through a dynamic display, in abid display region, of a plurality of consolidated bids for saidcommodity and, in an ask display region, of a plurality of consolidatedasks for said commodity, aligned with a static display of consolidatedprices corresponding thereto; and initiating placement of a trade orderof the commodity through a single action of the user input device with apointer of the user input device positioned within at least one of saidbid and ask display regions; and setting characteristics of the tradeorder based in part upon the preset parameters and the position of thepointer at the time of said single action, wherein each of saidplurality of consolidated bids represents a plurality of bid quantitiesin the market for said commodity; wherein each of said plurality ofconsolidated asks represents a plurality of ask quantities in the marketfor said commodity; wherein each of said consolidated prices representsa plurality of prices for said commodity.
 32. A computer readable mediumaccording to claim 31, wherein said trade order is a buy order if theposition of the pointer at the time of said single action is within thebid display region and wherein said trade order is a sell order if theposition of the pointer at the time of said single action is within theasks display region.
 33. A computer readable medium according to claim32, wherein the trade order is a single order for said pre-determinedquantity and for the lowest price represented by the consolidated pricecorresponding to the position of the pointer at the time of said singleaction if said trade order is a buy order and for the highest pricerepresented by the consolidated price corresponding to the position ofthe pointer at the time of said single action if said trade order is asell order.
 34. A computer readable medium according to claim 32,wherein the trade order is comprised of multiple trade orders,quantities for which sum to a predetermined quantity and prices forwhich include prices within the range represented by the consolidatedprice corresponding to the position of the pointer at the time of saidsingle action.
 35. A computer readable medium according to claim 34,wherein the quantities for said multiple trade orders are evenlydistributed among the prices within the range represented by theconsolidated price corresponding to the position of the pointer at thetime of said single action.
 36. A computer readable medium according toclaim 34, wherein the quantities for said multiple trade orders arerandomly distributed among the prices within the range represented bythe consolidated price corresponding to the position of the pointer atthe time of said single action.
 37. A computer readable medium accordingto claim 34, wherein the quantities for said multiple trade orders aredistributed in accordance with a predetermined distribution method amongthe prices within the range represented by the consolidated pricecorresponding to the position of the pointer at the time of said singleaction.
 38. A computer readable medium according to claim 34, whereinsaid predetermined quantity is based on said preset parameters and thequantities of said commodity available in the market at the time of saidsingle action.
 39. A client system for placing a trade order for acommodity on an electronic exchange, the system comprising: a displaydevice for displaying the market depth of a commodity traded in amarket, through a dynamic display, in a bid display region, of aplurality of consolidated bids for said commodity and, in an ask displayregion, of a plurality of consolidated asks for said commodity, alignedwith a static display of consolidated prices corresponding thereto auser input device for positioning a pointer thereof over an area withinat least one of said bid display region and said ask display region andfor initiating placement of a trade order of the commodity through asingle action of the user input device; and a trade ordercharacteristics setting component for setting characteristics of thetrade order based in part upon preset parameters and the position of thepointer at the time of said single action, wherein each of saidplurality of consolidated bids represents a plurality of bid quantitiesin the market for said commodity; wherein each of said plurality ofconsolidated asks represents a plurality of ask quantities in the marketfor said commodity; wherein each of said consolidated prices representsa plurality of prices for said commodity.
 40. A client system forplacing a trade order for a commodity according to claim 39, whereinsaid trade order characteristics setting component establishes that saidtrade order is a buy order if the position of the pointer at the time ofsaid single action is within the bid display region and wherein saidtrade order is a sell order if the position of the pointer at the timeof said single action is within the asks display region.
 41. A clientsystem for placing a trade order for a commodity according to claim 40,wherein said trade order characteristics setting component establishesthat the trade order is a single order for said pre-determined quantityand for the lowest price represented by the consolidated pricecorresponding to the position of the pointer at the time of said singleaction if said trade order is a buy order and for the highest pricerepresented by the consolidated price corresponding to the position ofthe pointer at the time of said single action if said trade order is asell order.
 42. A client system for placing a trade order for acommodity according to claim 40, wherein said trade ordercharacteristics setting component establishes that the trade order iscomprised of multiple trade orders, quantities for which sum to apredetermined quantity and prices for which include prices within therange represented by the consolidated price corresponding to theposition of the pointer at the time of said single action.
 43. A clientsystem for placing a trade order for a commodity according to claim 42,wherein said trade order characteristics setting component establishesthat the quantities for said multiple trade orders are evenlydistributed among the prices within the range represented by theconsolidated price corresponding to the position of the pointer at thetime of said single action.
 44. A client system for placing a tradeorder for a commodity according to claim 42, wherein said trade ordercharacteristics setting component establishes that the quantities forsaid multiple trade orders are randomly distributed among the priceswithin the range represented by the consolidated price corresponding tothe position of the pointer at the time of said single action.
 45. Aclient system for placing a trade order for a commodity according toclaim 42, wherein said trade order characteristics setting componentestablishes that the quantities for said multiple trade orders aredistributed in accordance with a predetermined distribution method amongthe prices within the range represented by the consolidated pricecorresponding to the position of the pointer at the time of said singleaction.
 46. A client system for placing a trade order for a commodityaccording to claim 42, wherein said predetermined quantity is based onsaid preset parameters and the quantities of said commodity available inthe market at the time of said single action.